FYI: According to AQR’s Cliff Asness, anyone who thinks risk parity caused the massive selloff in August has gone “all tinfoil-hat.” A better argument against risk parity, Mr. Asness concedes, is the fact that it has underperformed over the past several years.
But is this underperformance a result of the strategy having jumped the proverbial shark? Or is it simply a bad run to be expected with any strategy?
Regards,
Ted
http://dailyalts.com/has-risk-parity-jumped-the-shark-asness-says-no/
